Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0073
Annualized Std Dev 0.1470
Annualized Sharpe (Rf=0%) -0.0498

Row

Daily Return Statistics

Close
Observations 5500.0000
NAs 1.0000
Minimum -0.2020
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0037
Maximum 0.1408
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0093
Skewness -1.9987
Kurtosis 84.8413

Downside Risk

Close
Semi Deviation 0.0068
Gain Deviation 0.0071
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.5733
Historical VaR (95%) -0.0113
Historical ES (95%) -0.0207
Modified VaR (95%) -0.0039
Modified ES (95%) -0.0039
From Trough To Depth Length To Trough Recovery
2003-06-19 2008-12-12 NA -0.5733 4440 1353 NA
1999-01-12 2000-03-16 2001-10-16 -0.2208 651 278 373
2002-08-06 2002-12-23 2003-05-21 -0.0980 193 92 101
2002-02-13 2002-03-22 2002-06-12 -0.0579 80 26 54
2001-11-09 2001-12-26 2002-01-30 -0.0535 53 31 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.9 -0.8 0 0 0 0.5 0 0.9 0.5 0 -0.5 -0.5 -0.9
2000 0.5 1 1.1 0.5 0.5 0.5 0 0.5 -0.5 1.5 -0.5 0.5 5.7
2001 0.1 0.7 -1.8 0.2 0.8 0.9 0.3 0.2 0.2 0.4 0 0.5 2.5
2002 0.3 1 -0.1 0.7 0.3 0.6 0.7 -0.1 0.5 0.8 0.2 0.3 5.2
2003 -1 0.1 -0.6 0.4 -0.8 0.9 -0.2 -0.2 0.4 1.6 -0.1 0.8 1.4
2004 0.2 0.4 -0.1 0.3 -0.1 1.2 0.1 0.2 1 0.8 0.4 0 4.5
2005 1 -0.3 0.6 0.7 0.3 0.7 0.5 -0.1 0.2 0.6 1 0.5 5.8
2006 -0.1 0.2 1 0.4 0.3 0.6 -0.4 0.3 -0.5 0.2 0 0.8 2.8
2007 0.1 0.8 0.4 0 -0.2 0.7 -0.3 0.3 -0.4 0.4 1.8 1.2 5
2008 -0.1 -2.3 0.7 0.5 0.2 0.6 0.1 0.1 -2 2.2 0.2 0.4 0.4
2009 0.4 0.2 3.2 1.7 3.3 2.5 -0.6 -0.2 0.4 -1.4 0.3 0.2 10.4
2010 0.8 -0.1 -0.9 -0.1 0.1 0.5 0.6 0.6 0.3 -0.5 -0.9 1.9 2.3
2011 -0.2 0.4 -0.2 -0.8 0.8 0.9 1.3 1.2 0.1 -0.1 0.7 0.4 4.7
2012 0.7 0.6 0.6 1 -0.1 1 -0.3 0.2 -0.9 0.3 0.7 0.7 4.6
2013 -0.7 -0.8 0 -0.1 -1.2 0.4 -0.8 -0.2 -0.2 -0.7 -0.1 0.3 -3.9
2014 0.6 -0.5 0.2 0.9 -0.4 -0.4 1 -0.1 0.7 0.2 -0.2 0.1 2.1
2015 0.3 0.5 0.3 -0.4 0 0.2 0.5 0.2 0.1 0.2 0.2 0.5 2.7
2016 0.4 0.4 0.6 1.1 1.2 0.2 -0.3 0.3 -0.4 0.6 -1.6 0.3 2.7
2017 -0.2 -0.4 0 0.1 0 0.1 0.6 0 -0.2 -0.3 0.7 0.2 0.6
2018 0.3 0.1 0.4 0.3 0.3 1.4 -0.4 0 0.5 0.7 -0.3 -0.2 3.2
2019 0.5 -0.1 0.1 -0.6 0.5 0.6 -0.4 1.2 -0.1 0.8 2.4 0.2 5.2
2020 0.1 -2.6 -3.5 0.7 1.2 0.4 0.7 1.1 0.2 0.3 0.2 1.1 -0.2
2021 -0.1 1.8 -0.1 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.9 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15   SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart